The only problem - which you probably already know anyway - is that it may affect your credit, because every time someone requests a credit report (which happens each time you apply for a loan) it shows up on your credit report. Schools have advised me to apply to one lender at a time, because otherwise it may look like I'm too hungry for credit.
"Myth: Shopping around for a loan hurts your score. When you apply for a loan or get pre-approved the creditor checks your credit report, which shows up as an inquiry to your credit. While it's true that too many inquiries to your credit will lower your score, you absolutely can shop around for a mortgage, home equity loan or car loan without worrying about damaging your credit, said Sjoblad. "As long as the same kind of inquiries are made within 14 days of each other, they count as one inquiry on your credit score," he said. Take note: This grace period doesn't apply to credit cards."
I'm glad someone finally posted that. I just applied for a mortgage this weekend and when I mentioned to my lender that I was shopping rates for student loans she said that this is a popular misconception.
According to her the only thing that would effect your actual score would be if you applied for and accepted a loan or line of credit. Multiple inquiries made while shopping rates did nothing to hurt my ability to borrow for a home.
Additionally, in shopping for a home loan I was quoted rates a full half point apart by the first two lenders I spoke with. Shopping rates is imperative as you don't know for sure what each company is basing their lending decisions on. For example, in borrowing for a home lenders use your mid-FICO score (literally they take the middle score of the three). I've heard that this is not necessaryily the case for student loans. They may choose only to look at one credit report, or even worse, may base their decisions about rates on the lower of the three.
Bottom line: shop, shop, shop. If you're worried about inquiries hurting you simply explain to the lenders that you've been shopping rates and that you haven't opened any new lines of credit.